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Asset market equilibrium with short-selling and differential information

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Author Info
Wassin Daher () (CERMSEM)
V. Filipe Martins-da-Rocha () (CEREMADE)
Yiannis Vailakis () (CERMSEM)

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Abstract

We introduce differential information in the asset market model studied by Cheng (1991), Dana and Le Van (1996)and Le Van and Truong Xuan (2001). An equilibrium existence result is proven assuming that the economy's information structure satisfies the conditional independency property.

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Publisher Info
Paper provided by Université Panthéon-Sorbonne (Paris 1) in its series Cahiers de la Maison des Sciences Economiques with number b05098.

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Length: 27 pages
Date of creation: Dec 2005
Date of revision:
Handle: RePEc:mse:wpsorb:b05098

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Related research
Keywords: Asset market; differential information; competitive equilibrium.;

Find related papers by JEL classification:
C61 - Mathematical and Quantitative Methods - - Mathematical Methods and Programming - - - Optimization Techniques; Programming Models; Dynamic Analysis
C62 - Mathematical and Quantitative Methods - - Mathematical Methods and Programming - - - Existence and Stability Conditions of Equilibrium
D51 - Microeconomics - - General Equilibrium and Disequilibrium - - - Exchange and Production Economies

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References listed on IDEAS
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
  1. Radner, Roy, 1979. "Rational Expectations Equilibrium: Generic Existence and the Information Revealed by Prices," Econometrica, Econometric Society, vol. 47(3), pages 655-78, May. [Downloadable!] (restricted)
  2. Cheng, Harrison H. C., 1991. "Asset market equilibrium in infinite dimensional complete markets," Journal of Mathematical Economics, Elsevier, vol. 20(1), pages 137-152. [Downloadable!] (restricted)
  3. Herves-Beloso, Carlos & Moreno-Garcia, Emma & Yannelis, Nicholas C., 2005. "An equivalence theorem for a differential information economy," Journal of Mathematical Economics, Elsevier, vol. 41(7), pages 844-856, November. [Downloadable!] (restricted)
  4. Nizar Allouch & Monique Florenzano, 2004. "Edgeworth and Walras equilibria of an arbitrage-free exchange economy," Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers) halshs-00086096_v1, HAL. [Downloadable!]
    Other versions:
  5. Brown, Donald J & Werner, Jan, 1995. "Arbitrage and Existence of Equilibrium in Infinite Asset Markets," Review of Economic Studies, Blackwell Publishing, vol. 62(1), pages 101-14, January. [Downloadable!] (restricted)
    Other versions:
  6. Dana, R.-A. & Le Van, C. & Magnien, F., 1999. "On the Different Notions of Arbitrage and Existence of Equilibrium," Papiers d'Economie Mathématique et Applications 1999.34, Université Panthéon-Sorbonne (Paris 1).
    Other versions:
  7. Bewley, Truman F., 1972. "Existence of equilibria in economies with infinitely many commodities," Journal of Economic Theory, Elsevier, vol. 4(3), pages 514-540, June. [Downloadable!] (restricted)
  8. Werner, Jan, 1987. "Arbitrage and the Existence of Competitive Equilibrium," Econometrica, Econometric Society, vol. 55(6), pages 1403-18, November. [Downloadable!] (restricted)
  9. Duffie, J Darrell & Huang, Chi-fu, 1985. "Implementing Arrow-Debreu Equilibria by Continuous Trading of Few Long-lived Securities," Econometrica, Econometric Society, vol. 53(6), pages 1337-56, November. [Downloadable!] (restricted)
  10. Carlos Hervés-Beloso & Emma Moreno-García & Nicholas Yannelis, 2005. "Characterization and incentive compatibility of Walrasian expectations equilibrium in infinite dimensional commodity spaces," Economic Theory, Springer, vol. 26(2), pages 361-381, 08. [Downloadable!] (restricted)
  11. Monique Florenzano, 2008. "General equilibrium," Documents de travail du Centre d'Economie de la Sorbonne b08005, Université Panthéon-Sorbonne (Paris 1), Centre d'Economie de la Sorbonne. [Downloadable!]
    Other versions:
  12. Grandmont, Jean-Michel, 1977. "Temporary General Equilibrium Theory," Econometrica, Econometric Society, vol. 45(3), pages 535-72, April. [Downloadable!] (restricted)
  13. Le Van, Cuong & Truong Xuan, Duc Ha, 2001. "Asset market equilibrium in Lp spaces with separable utilities," Journal of Mathematical Economics, Elsevier, vol. 36(3), pages 241-254, December. [Downloadable!] (restricted)
  14. Green, Jerry R, 1973. "Temporary General Equilibrium in a Sequential Trading Model with Spot and Futures Transactions," Econometrica, Econometric Society, vol. 41(6), pages 1103-23, November. [Downloadable!] (restricted)
  15. Allouch, Nizar & Le Van, Cuong & Page, Frank Jr., 2002. "The geometry of arbitrage and the existence of competitive equilibrium," Journal of Mathematical Economics, Elsevier, vol. 38(4), pages 373-391, December. [Downloadable!] (restricted)
    Other versions:
  16. Kreps, David M., 1981. "Arbitrage and equilibrium in economies with infinitely many commodities," Journal of Mathematical Economics, Elsevier, vol. 8(1), pages 15-35, March. [Downloadable!] (restricted)
  17. Dana, R.A. & Le Van, C., 1996. "Asset Equilibria in "L" Spaces with Complete Markets: A Duality Approach," Papers 95.388, Toulouse - GREMAQ.
    Other versions:
  18. Black, Fischer & Scholes, Myron S, 1973. "The Pricing of Options and Corporate Liabilities," Journal of Political Economy, University of Chicago Press, vol. 81(3), pages 637-54, May-June. [Downloadable!] (restricted)
  19. Aliprantis, Charalambos D., 1997. "Separable utility functions," Journal of Mathematical Economics, Elsevier, vol. 28(4), pages 415-444, November. [Downloadable!] (restricted)
  20. Hammond, Peter J., 1983. "Overlapping expectations and Hart's conditions for equilibrium in a securities model," Journal of Economic Theory, Elsevier, vol. 31(1), pages 170-175, October. [Downloadable!] (restricted)
  21. Nielsen, Lars Tyge, 1989. "Asset Market Equilibrium with Short-Selling," Review of Economic Studies, Blackwell Publishing, vol. 56(3), pages 467-73, July. [Downloadable!] (restricted)
  22. Page, Frank Jr., 1987. "On equilibrium in Hart's securities exchange model," Journal of Economic Theory, Elsevier, vol. 41(2), pages 392-404, April. [Downloadable!] (restricted)
Full references

Cited by:
(explanations, Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.)

  1. Wassim Daher & V. Martins-da-Rocha & Yiannis Vailakis, 2007. "Asset market equilibrium with short-selling and differential information," Economic Theory, Springer, vol. 32(3), pages 425-446, September. [Downloadable!] (restricted)
    Other versions:
  2. Angeloni, Laura & Martins-da-Rocha, V. F., 2007. "Contract enforcement and incentive compatibility in large economies with differential information: the role of exact feasibility," Economics Working Papers (Ensaios Economicos da EPGE) 647, Graduate School of Economics, Getulio Vargas Foundation (Brazil). [Downloadable!]
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